Implied risk aversion: an alternative rating system for retail structured products

IF 0.7 4区经济学 Q4 BUSINESS, FINANCE

Review of Derivatives Research Pub Date : 2016-05-15 DOI:10.2139/ssrn.2651135

H. Fink, S. Geissel, Jörn Sass, F. Seifried

引用次数: 9

Abstract

This article proposes implied risk aversion as a rating methodology for retail structured products. Implied risk aversion is based on optimal expected utility risk measures as introduced by Geissel et al. (Stat Risk Model 35(1–2):73–87, 2017) and, in contrast to standard V@R-based ratings, takes into account both the upside potential and the downside risks of such products. In addition, implied risk aversion is easily interpreted in terms of an individual investor’s risk aversion: a product is attractive for an investor if his individual relative risk aversion is smaller than the product’s implied risk aversion. We illustrate our approach in a case study with more than 15,000 short-term warrants on DAX that highlights some differences between our rating system and the traditional V@R-based approach.

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隐含风险厌恶:零售结构性产品的另类评级体系

本文建议将隐含风险厌恶作为零售结构性产品的评级方法。隐含风险厌恶基于Geissel等人引入的最优预期效用风险度量(Stat risk Model 35(1-2): 73-87, 2017)，与标准V@R-based评级不同，它同时考虑了此类产品的上行潜力和下行风险。此外，隐含风险厌恶可以很容易地解释为个人投资者的风险厌恶:如果投资者的个人相对风险厌恶小于产品的隐含风险厌恶，则产品对投资者具有吸引力。我们在一个案例研究中说明了我们的方法，该案例研究了DAX上超过15,000个短期权证，突出了我们的评级系统与传统V@R-based方法之间的一些差异。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Derivatives Research Multiple-

CiteScore

1.40

自引率

0.00%

发文量

期刊介绍： The proliferation of derivative assets during the past two decades is unprecedented. With this growth in derivatives comes the need for financial institutions, institutional investors, and corporations to use sophisticated quantitative techniques to take full advantage of the spectrum of these new financial instruments. Academic research has significantly contributed to our understanding of derivative assets and markets. The growth of derivative asset markets has been accompanied by a commensurate growth in the volume of scientific research. The Review of Derivatives Research provides an international forum for researchers involved in the general areas of derivative assets. The Review publishes high-quality articles dealing with the pricing and hedging of derivative assets on any underlying asset (commodity, interest rate, currency, equity, real estate, traded or non-traded, etc.). Specific topics include but are not limited to: econometric analyses of derivative markets (efficiency, anomalies, performance, etc.) analysis of swap markets market microstructure and volatility issues regulatory and taxation issues credit risk new areas of applications such as corporate finance (capital budgeting, debt innovations), international trade (tariffs and quotas), banking and insurance (embedded options, asset-liability management) risk-sharing issues and the design of optimal derivative securities risk management, management and control valuation and analysis of the options embedded in capital projects valuation and hedging of exotic options new areas for further development (i.e. natural resources, environmental economics. The Review has a double-blind refereeing process. In contrast to the delays in the decision making and publication processes of many current journals, the Review will provide authors with an initial decision within nine weeks of receipt of the manuscript and a goal of publication within six months after acceptance. Finally, a section of the journal is available for rapid publication on `hot'' issues in the market, small technical pieces, and timely essays related to pending legislation and policy. Officially cited as: Rev Deriv Res